I guess that's what happens. Once you lose ball, your DCs are supposed to drop back deep due to mentality (btw, what is the def line slider position?) and low closing down, but they are a bit confused because they are supposed to man mark someone. So they are kind of in the middle of nowhere

Your DM, who is supposed to drop back as well (mentality 5) tries to chase ball all around (closing down 15), so he is out of the position you want him to be. The other MC is in fact in better position to help defs, but I guess he is more of attacking type, so not too much of help either. Your FBs are on zonal marking, so if ball is not around they still controll their zones, otherwise close down opponent. So you really have a hole in the middle: any through ball would result in a race between opposition ST and DC that man mark him, and DM is not there to intercept that ball. In general ST are more pacey than DCs. Add here the fact that at League 1 and Championship level most DC don't have really high positioning and anticipation level, you got the problem you described. Even though you said your DCs intercept a lot, if STs wins 4 or 5 races, they would be able to score a few times.
Try to bring your players mentality closer together and set def line near normal. Set all players on zonal marking, but if you feel that a particular ST is very dangerous to your team, use opposition instruction window to tight mark him.
Imo high Closing down makes sense only if you have at least 4 players with such instruction, preferably all midfielders. Your DM cannot chase everybody, and FBs are on flanks, so they canot really help !